Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''

@article{Arneodo1997CausalCI,
  title={Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''},
  author={Alain Arneodo and Jean-François Muzy and Didier Sornette},
  journal={arXiv: Statistical Mechanics},
  year={1997}
}
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our theoretical understanding of agent interactions and of the organization of the market. The gaussian paradigm of independent normally distributed price increments has long been known to be incorrect with many attempts to improve it. Econometric nonlinear… 
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